Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85249
Authors: 
Hott, Christian
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 34/2013
Abstract: 
We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the model, loss rates are positively influenced by the house price level, the loan-to-value of mortgages, interest rates, and the unemployment rate. They are negatively influenced by the growth of house prices and the income level. The calibration of the model for the US and Switzerland demonstrates that it is able to describe the overall development of actual mortgage loss rates. In addition, we show potential applications of the model for different macroprudential instruments: stress tests, countercyclical buffer, and setting risk weights for mortgages with different loan-to-value and loan-to-income ratios.
Subjects: 
Mortgage Market
Credit Risk
Macroprudential Instruments
JEL: 
E5
G21
ISBN: 
978-3-86558-954-5
Document Type: 
Working Paper

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